流动性冲击的价格传导效应
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| Title | The Price Transmission Effect of Liquidity Shock
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| 作者 | 刘元生 杨盼盼 王有贵 |
| Author | Liu Yuansheng, Yang Panpan and Wang Yougui |
| 作者单位 | 西南财经大学财税学院，中国社会科学院世界政治与经济研究所全球宏观经济研究室，北京师范大学系统科学学院 |
| Organization | School of Public Finance, Southwestern University of Finance and economics;Institute of World Economics and Politics, Chinese Academy of Social Sciences;School of System Sciences, Beijing Normal University |
| 作者Email | lysmails@gmail.com,pamelapanda@126.com,pamelapanda@126.com |
| 中文关键词 | FAVAR 价格传导 流动性冲击 货币政策 |
| Key Words | FAVAR; Price Transmission; Liquidity Shock; Monetary Policy |
| 内容提要 | 本文利用中国2000-2011年期间的110项经济数据建立了FAVAR模型，以分析流动性冲击对不同行业价格变动的影响。我们发现用信贷规模衡量宏观流动性相比用货币量M2更具有优势，对经济变化的解释能力更强，尤其是讨论价格变化时，信贷的影响更大。我们还发现流动性冲击对CPI的影响相较于PPI而言更为显著，而且PPI的数据显示流动性冲击是沿着产业链的下游往上游传导，其强度依次减弱。这种产业链不同位置的行业价格对流动性冲击的反应模式可能是贺力平等（2008）、张成思（2010）、杨子晖等（2013）等学者所发现的价格倒逼机制的内在原因。众多价格指数的相对变化模式对货币政策的动态调整具有重大意义，中央银行应该动态地监控产业链上不同行业之间的价格变化趋势，加强货币政策的前瞻性，以便进行有效的流动性管理。 |
| Abstract | This paper sets out to analyze the effect of liquidity shock to the relative price of different industries based on 110 Chinese economic indicators over the period from 2000 to 2011 using FAVAR model. We choose credit size rather than M2 to measure the liquidity. Credit shock works better in explaining the fluctuations of economic indicators, especially the price indexes. We figure out that liquidity shock exerts higher effect in CPI rather than PPI and moves from lower supply chain to higher. This mechanism can be used to understand the channel of price reverse pass-through from lower supply chain to the higher. The responses of relative price to liquidity shock play an important role in the dynamic adjustment of monetary policy. People’s Bank of China should monitor the price change in different industries within supply chain and exerts effective liquidity management. |
| 文章编号 | WP618 |
| 登载时间 | 2014-04-08 |
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